1. Field of the Invention
This invention relates to a computer technology for computing the probability distribution of loan losses which may emanate from the entire loans in a financing organization having a plurality of loan debtors on condition that the loaned amount to each loan customer and the bankruptcy probability of each customer are known.
2. Description of the Related Background Art
Each of financing organizations of larger scales, such as city banks, has as many as tens of thousand loan customers it finances. Focusing at one loan customer, there are expected two cases, namely, it will go into bankruptcy and it will not go into bankruptcy. That is, two possibilities of bankruptcy and non-bankruptcy can be expected for each loan customer. Therefore, when the probability distribution of loan losses emanating from the entire loaned sum is computed, the entire number of patterns or aspects of bankruptcy and non-bankruptcy will amount to a number as enormous as self multiplication of 2 over the times corresponding to the number of customers, that is, the tens of thousandth power of 2. Therefore, even when bankruptcy probabilities indicating probabilities of bankruptcy of individual loan customers and loan amounts to individual loan customers are already known, calculation must be done for all of such enormous patterns which are the tens of thousandth power of 2 (approximately one thousandth power of one trillion), and computation of probability distribution is actually impossible even when using a computer. That is, even by using computers, their computation load is too heavy to actually execute computation. Currently, therefore, there is no technology for precisely computing probability distributions of loan losses in this field.
Since no technology for accurately computing probability distributions of loan losses existed heretofore as explained above, a simulation method was employed to obtain probability distributions of loan losses. This simulation method was the technique of forecasting the probability distribution of the entire loan losses by extracting a part of the whole bankruptcy and non-bankruptcy, and calculating probability distributions of loan losses of these samples. That is, this was the method for selecting about ten thousands at random from patterns amounting the tens of thousandth power of 2, calculating an aspect of the probability distribution of loan losses of these selected patterns, and presuming the whole probability distribution of loan losses involving all of the patterns amounting to the tens of thousandth power of 2. A graph of a whole probability distribution of the loan losses obtained by this simulation method is shown in FIG. 12. As apparent from the graph of FIG. 12, this simulation method was not suitable for practical use because of large errors. That is, there was a problem that a probability distribution of one loan loss could not be obtained because of the low accuracy of the graph. In other words, there was a problem that it was not suitable for practical use because estimation errors were too large.